Publication Type | Report |
Year of Publication | 2011 |
Authors | Cristina Corchero; Eugenio Mijangos; F.-Javier Heredia |
Pages | 25 |
Date | 11/2011 |
Reference | Research report DR 2011/04, Dept. of Statistics and Operations Research. E-Prints UPC, http://hdl.handle.net/2117/18368. Universitat Politècnica de Catalunya |
Prepared for | Published by TOP |
Key Words | research; electricity market; |
Abstract | On current electricity markets the electrical utilities are faced with very sophisticated decision making problems under uncertainty. Moreover, when focusing in the shortterm management, generation companies must include some medium-term products that directly influence their short-term strategies. In this work, the bilateral and physical futures contracts are included into the day-ahead market bid following MIBEL rules and a stochastic quadratic mixed-integer programming model is presented. The complexity of this stochastic programming problem makes unpractical the resolution of large-scale instances with general purpose optimization codes. Therefore, in order to gain efficiency, a polyhedral outer approximation of the quadratic objective function obtained by means of perspective cuts (PC) is proposed. A set of instances of the problem has been defined with real data and solved with the PC methodology. The numerical results obtained show the efficiency of this methodology compared with standard mixed quadratic optimization solvers. |
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Publication Type | Journal Article |
Year of Publication | 2013 |
Authors | M.Pilar Muñoz; Cristina Corchero; F.-Javier Heredia |
Journal Title | International Statistical Review |
Volume | 81 |
Issue | 2 |
Pages | 18 (289-306) |
Start Page | 289 |
Journal Date | August 2013 |
Publisher | Wiley |
ISSN Number | 1751-5823 |
Key Words | research; paper; electricity market prices; short-term forecasting; stochastic programming; factor models; price scenarios; Q2 |
Abstract | In liberalized electricity markets, the electricity generation companies usually manage their production by developing hourly bids that are sent to the day-ahead market. As the prices at which the energy will be purchased are unknown until the end of the bidding process, forecasting of spot prices has become an essential element in electricity management strategies. In this article, we apply forecasting factor models to the market framework in Spain and Portugal and study their performance. Although their goodness of fit is similar to that of autoregressive integrated moving average models, they are easier to implement. The second part of the paper uses the spot-price forecasting model to generate inputs for a stochastic programming model, which is then used to determine the company's optimal generation bid. The resulting optimal bidding curves are presented and analyzed in the context of the Iberian day-ahead electricity market. |
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DOI | 10.1111/insr.12014 |
Preprint | http://hdl.handle.net/2117/3047 |
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Publication Type | Proceedings Article |
Year of Publication | 2013 |
Authors | F. -Javier Heredia; Cristina Corchero; Eugenio Mijangos |
Conference Name | 25th IFIP TC 7 Conference, CSMO 2011 |
Series Title | IFIP Advances in Information and Communication Technology |
Volume | 391 |
Pagination | 511-520 |
Conference Start Date | 12/09/2011 |
Publisher | Springer Berlin Heidelberg |
Conference Location | Berlin |
ISSN Number | 1868-4238 |
ISBN Number | 978-3-642-36062-6 |
Key Words | Liberalized Electricity Market; Optimal Bid Stochastic Programming; Quadratic Branch-and-Fix Coordination; research; paper; DPI2008-02153 |
Abstract | The electric market regulation in Spain (MIBEL) establishes the rules for bilateral and futures contracts in the day-ahead optimal bid problem. Our model allows a price-taker generation company to decide the unit commitment of the thermal units, the economic dispatch of the bilateral and futures contracts between the thermal units and the optimal sale bids for the thermal units observing the MIBEL regulation. The uncertainty of the spot prices is represented through scenario sets. We solve this model on the framework of the Branch and Fix Coordination metodology as a quadratic two-stage stochastic problem. In order to gain computational efficiency, we use scenario clusters and propose to use perspective cuts. Numerical results are reported. |
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DOI | 10.1007/978-3-642-36062-6_51 |
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Publication Type | Tesis de Grau i Màster // BSc and MSc Thesis |
Year of Publication | 2012 |
Authors | Lucia Igualada González |
Director | F.-Javier Heredia; Cristina Corchero |
Tipus de tesi | Tesi Final Màster // MSc Thesis |
Titulació | Master in Statistics and Operations Research |
Centre | Faculty of Mathematics and Statistics |
Data defensa | 04/07/2012 |
Nota // mark | 10 MH // 10/10 |
Key Words | research; teaching; smartgrids; microgrid; migrogrid central controller; electric vehicle; MSc Thesis |
Abstract | Smart grids and microgrids are the key in the near future where a decentralization of energy generation is expected. From the point of view of microgrid energy management, economic scheduling for generation devices, storage systems and loads is a crucial problem. Performance an optimization process is necessary to minimize the operating costs while several operational constraints are taken into account. Energy management is carried out by MCC (Microgrid Central Controller) in three steps: tertiary, secondary and primary controls. Tertiary control is executed one day-ahead and has two objectives. The first is an economic optimization using a program based on an Economic Dispatch and an Unit Commitment problem. The second objective is to improve the portability of the supply and demand balance by interacting with the grid and taking advantage of the V2G (vehicle-to-grid) capability of the charging spot, and to generate a schedule over all components of the microgrid. The secondary control receives the scheduling plan created by tertiary control and taking into account current data, corrects the power outputs of generation units. Exchanged power with the grid and storage states of charge programmed by the tertiary control are ensured. This Energy Management System has been tested over different scenarios. One of them is based on a smart house with a photovoltaic module, a micro wind turbine and one electric vehicle charging spot. The other scenario is based on a large building where one micro gas turbine and one storage device have been added to the rest of units. After analysing the results, several conclusions have been deduced such as a change in curve of load and a lower cost for the user. Generally, the consumption over peak periods is decreased or is almost zero in some test cases, while the demand overnight is increased. |
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Publication Type | Proceedings Article |
Year of Publication | 2012 |
Authors | Cristina Corchero; M. Cruz; F.-Javier Heredia; J.-I. Cairo; L. Igualada; A. Romero |
Conference Name | 2012 9th International Conference on the European Energy Market (EEM 2012) |
Series Title | IEEE Conference Publications |
Pagination | 1-6 |
Conference Start Date | 10/05/2012 |
Publisher | IEEE |
Conference Location | Florence, Italy |
Editor | IEEE |
ISBN Number | 978-1-4673-0834-2 |
Key Words | research; electrical vehicle; smartgrids; charging station; microgrid; queuing system; paper |
Abstract | In this work we focus on the optimal design of electric vehicle charging stations. We consider investment, operational costs, physical constraints and different electricity pricing strategies. The size of the various components in the microgrid architecture and the suitability of the storage system are analysed. The electric vehicle charging demand is modelled through a queuing system. |
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DOI | 10.1109/EEM.2012.6254677 |
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Publication Type | Proceedings Article |
Year of Publication | 2012 |
Authors | Cristina Corchero; F.-Javier Heredia; Julián Cifuentes |
Conference Name | 2012 9th International Conference on the European Energy Market (EEM 2012) |
Series Title | IEEE Conference Publications |
Pagination | 1-8 |
Conference Start Date | 10/05/2012 |
Publisher | IEEE |
Conference Location | Florence |
Editor | IEEE |
ISSN Number | - |
ISBN Number | 978-1-4673-0834-2 |
Key Words | research; elecriticy; markets; CO2 allowances; emissions limits; environment; stochastic programming; modeling languages; paper |
Abstract | There are many factors that influence the day-ahead market bidding strategies of a GenCo in the current energy market framework. In this work we study the influence of both the allowances and emission reduction plan and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The operational characteristics of both kinds of units are modeled in detail. We deal with this problem in the framework of the Iberian Electricity Market and the Spanish National Emissions and Allocation Plans. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed. |
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DOI | 10.1109/EEM.2012.6254676 |
Preprint | http://hdl.handle.net/2117/18691 |
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Publication Type | Conference Paper |
Year of Publication | 2012 |
Authors | Simona Sacripante; F.-Javier Heredia; Cristina Corchero |
Conference Name | 9th International Conference on Computational Management Science. |
Conference Date | 18-20/04/2012 |
Conference Location | London |
Type of Work | Invited presentation |
Key Words | research; stochastic programming; wind producer; renewable energy; multimarket; electricity market; optimal bid; DPI2008-02153 |
Abstract | Wind power generation has a key role in Spanish electricity system since it is a native source of energy that could help Spain to reduce its dependency on the exterior for the production of electricity. Apart from the great environmental benefits produced, wind energy reduce considerably spot energy price, reaching to cover 16,6 % of peninsular demand. Although, wind farms show high investment costs and need an efficient incentive scheme to be financed. If on one hand, Spain has been a leading country in Europe in developing a successful incentive scheme, nowadays tariff deficit and negative economic conjunctures asks for consistent reductions in the support mechanism and demand wind producers to be able to compete into the market with more mature technologies. The objective of this work is to find an optimal commercial strategy in the production market that would allow wind producer to maximize their daily profit. That can be achieved on one hand, increasing incomes in day-ahead and intraday markets, on the other hand, reducing deviation costs due to error in generation predictions. We will previously analyze market features and common practices in use and then develop our own sale strategy solving a two-stage linear stochastic optimization problem. The first stage variable will be the sale bid in the day–ahead market while second stage variables will be the offers to the six sessions of intraday market. The model is implemented using real data from a wind producer leader in Spain. |
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El passat 17 de juliol es va celebrar a la seu d'ACC1Ó una jornada de treball per a la preparació de propostes de projectes europeus en l'àmbit de l'energia (agenda de la jornada). Vaig participar en la sessió temàtica 2 sobre smartgrigds presentant les aportacións del grup GNOM-Energy als diferents temes de la convocatòria relacionats amb gestió òptima d'smartgrids i la seva integració en el sistema energètic.